I have one that isn't a horror per say but it is a mystery and good as well. It;s called Happy Birthday. 

Another one is called Misao and it's horror. 

Corpse Party I have not played but I heard it is fairly good as well. It's definitely horror xD

Mermaid Swamp and Desert Nightmare are also horror.

So, do you know there is a fan-made version of Ib called Green Ib? It's exactly like the game except at the end where you go back through the painting with Gary Mary shows up even though she was burned. You then get three options: Go with Mary, Go with Gary or Sacrifice yourself. It's so depressing Q~Q